Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0835 |
| Annualized Std Dev | 0.8143 |
| Annualized Sharpe (Rf=0%) | 0.1026 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3111.0000 |
| NAs | 1.0000 |
| Minimum | -0.4303 |
| Quartile 1 | -0.0157 |
| Median | 0.0026 |
| Arithmetic Mean | 0.0017 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0208 |
| Maximum | 0.4129 |
| SE Mean | 0.0009 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0035 |
| Variance | 0.0026 |
| Stdev | 0.0513 |
| Skewness | 0.0021 |
| Kurtosis | 14.6379 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0365 |
| Gain Deviation | 0.0400 |
| Loss Deviation | 0.0425 |
| Downside Deviation (MAR=210%) | 0.0395 |
| Downside Deviation (Rf=0%) | 0.0359 |
| Downside Deviation (0%) | 0.0359 |
| Maximum Drawdown | 0.9482 |
| Historical VaR (95%) | -0.0682 |
| Historical ES (95%) | -0.1240 |
| Modified VaR (95%) | -0.0675 |
| Modified ES (95%) | -0.0675 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-10 | 2009-03-06 | 2015-07-22 | -0.9482 | 1685 | 80 | 1605 |
| 2020-02-18 | 2020-03-23 | NA | -0.8599 | 276 | 25 | NA |
| 2018-01-29 | 2018-12-24 | 2019-07-26 | -0.5404 | 376 | 229 | 147 |
| 2015-07-23 | 2016-02-11 | 2016-11-14 | -0.5335 | 333 | 141 | 192 |
| 2019-07-29 | 2019-08-14 | 2019-11-01 | -0.1970 | 69 | 13 | 56 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -43 | 10.7 | -36.9 |
| 2009 | -7.2 | -15.7 | 8 | -3.8 | 4.5 | -0.8 | 1.8 | -14 | -11.6 | -12.6 | 0.8 | -1.2 | -43.2 |
| 2010 | 4.3 | 1.1 | 2.4 | -7 | -6.4 | -1.9 | 0 | 10.9 | 2.2 | 0.1 | 5.7 | 0.4 | 11.4 |
| 2011 | 5.5 | -5.9 | 2.2 | -0.3 | -9.5 | 5.3 | -1.2 | -6.3 | -9.5 | -13 | -1.9 | -1.6 | -32.2 |
| 2012 | 4.7 | 3.3 | 1.1 | 3.1 | -10.3 | 7.4 | -1.5 | 1.5 | 1.1 | 3.8 | -0.1 | 3.8 | 18.1 |
| 2013 | 3.6 | 0.6 | -1.2 | -3.2 | -4.2 | 1.7 | 4.6 | -2.1 | 2.4 | 0.7 | -1.1 | 1 | 2.5 |
| 2014 | -3.6 | 1.4 | 1.1 | 0.7 | 0.5 | 1.8 | -2.2 | 1.2 | -3.3 | 3.4 | -2.2 | -3.5 | -5 |
| 2015 | -4 | -1.2 | -0.4 | 2.1 | 0.4 | 4.2 | -1 | -9.5 | 0.9 | -3.5 | 3.2 | -2.7 | -11.6 |
| 2016 | -0.6 | 10.3 | 2.5 | -1.9 | 0.7 | -1.1 | -0.6 | -0.9 | 2.6 | -2.5 | 1.8 | 0.9 | 10.9 |
| 2017 | -0.6 | 6 | -1.4 | 1.4 | 3 | -0.3 | 2 | 0.7 | 1 | 0.4 | 0.4 | -1.3 | 11.6 |
| 2018 | 1.1 | -4.3 | 3.6 | 0.9 | 2.5 | 0 | 0.8 | 0 | 0 | 1.8 | 2.3 | 2.5 | 11.8 |
| 2019 | 1.6 | 1.4 | 5 | -2.2 | -2.8 | 2.6 | -4.2 | 0.5 | -4.8 | 3.1 | -0.7 | 1 | -0.1 |
| 2020 | -6.1 | -6.2 | -18 | -9.4 | 3.6 | 0.7 | -0.3 | 1.3 | 1.2 | 0.8 | 4.2 | 3.5 | -24.1 |
| 2021 | 4 | 9.1 | -3.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 9.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-11-06 34.1 SPY 90.9 -0.0554 -0.0565 -0.0682 -0.298 -0.386 -0.256 -0.142 GLD 72.2 -0.008 -0.0067
2 2008-11-07 35.4 SPY 93.9 0.033 -0.0307 0.0348 -0.282 -0.362 -0.232 -0.118 GLD 72.5 0.0039 0.0163
3 2008-11-10 32.1 SPY 92.6 -0.0131 -0.0461 0.0467 -0.284 -0.362 -0.242 -0.123 GLD 73.6 0.0149 0.0349
4 2008-11-11 30.3 SPY 89.8 -0.0309 -0.106 -0.114 -0.302 -0.375 -0.266 -0.146 GLD 72.0 -0.0208 -0.0454
5 2008-11-12 24.8 SPY 85.8 -0.044 -0.108 -0.140 -0.338 -0.420 -0.304 -0.184 GLD 70 -0.0285 -0.0385
6 2008-11-13 30.1 SPY 91.2 0.0623 0.0034 0.0128 -0.300 -0.383 -0.263 -0.143 GLD 72.2 0.0307 -0.001
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
